add MAD, MSE, MAPE to SMA (#45)

* add MAD, MSE, MAPE to SMA
DaveSkender · Jun 28, 2020 · dd1f2bb · dd1f2bb
1 parent dde05ef
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Showing 4 changed files with 35 additions and 7 deletions.
diff --git a/Indicators/Sma/README.md b/Indicators/Sma/README.md
@@ -30,6 +30,9 @@ The first `N-1` periods will have `null` values since there's not enough data to
 | `Index` | int | Sequence of dates
 | `Date` | DateTime | Date
 | `Sma` | decimal | Simple moving average for `N` lookback periods
+| `Mad` | decimal | Mean absolute deviation
+| `Mse` | decimal | Mean square error
+| `Mape` | decimal | Mean absolute percentage error
 
 ## Example
 

diff --git a/Indicators/Sma/Sma.Models.cs b/Indicators/Sma/Sma.Models.cs
@@ -3,7 +3,10 @@
 
     public class SmaResult : ResultBase
     {
-        public decimal? Sma { get; set; }
+        public decimal? Sma { get; set; }  // simple moving average
+        public decimal? Mad { get; set; }  // mean absolute deviation
+        public decimal? Mse { get; set; }  // mean square error
+        public decimal? Mape { get; set; } // mean absolute percentage error
     }
 
 }
diff --git a/Indicators/Sma/Sma.cs b/Indicators/Sma/Sma.cs
@@ -1,4 +1,5 @@
-using System.Collections.Generic;
+using System;
+using System.Collections.Generic;
 using System.Linq;
 
 namespace Skender.Stock.Indicators
@@ -30,11 +31,29 @@ public static IEnumerable<SmaResult> GetSma(IEnumerable<Quote> history, int look
 
                 if (h.Index >= lookbackPeriod)
                 {
-                    IEnumerable<decimal> period = history
-                        .Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod))
-                        .Select(x => x.Close);
-
-                    result.Sma = period.Average();
+                    IEnumerable<Quote> period = history
+                        .Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
+
+                    // simple moving average
+                    result.Sma = period
+                        .Select(x => x.Close)
+                        .Average();
+
+                    // mean absolute deviation
+                    result.Mad = period
+                        .Select(x => Math.Abs(x.Close - (decimal)result.Sma))
+                        .Average();
+
+                    // mean squared error
+                    result.Mse = period
+                        .Select(x => (x.Close - (decimal)result.Sma) * (x.Close - (decimal)result.Sma))
+                        .Average();
+
+                    // mean absolute percent error
+                    result.Mape = period
+                        .Where(x => x.Close != 0)
+                        .Select(x => Math.Abs(x.Close - (decimal)result.Sma) / x.Close)
+                        .Average();
                 }
 
                 results.Add(result);

diff --git a/IndicatorsTests/Test.Sma.cs b/IndicatorsTests/Test.Sma.cs
@@ -26,6 +26,9 @@ public void GetSmaTest()
             // sample value
             SmaResult sma = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
             Assert.AreEqual((decimal)251.86, sma.Sma);
+            Assert.AreEqual((decimal)9.45, sma.Mad);
+            Assert.AreEqual((double)119.2510, Math.Round((double)sma.Mse, 4));
+            Assert.AreEqual((double)0.037637, Math.Round((double)sma.Mape, 6));
         }